Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0959
Annualized Std Dev 0.2421
Annualized Sharpe (Rf=0%) 0.3959

Row

Daily Return Statistics

Close
Observations 4389.0000
NAs 1.0000
Minimum -0.1107
Quartile 1 -0.0068
Median 0.0008
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0082
Maximum 0.1301
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0153
Skewness -0.2137
Kurtosis 6.2085

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0104
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6074
Historical VaR (95%) -0.0231
Historical ES (95%) -0.0364
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0412
From Trough To Depth Length To Trough Recovery
2008-06-06 2009-03-09 2011-04-27 -0.6074 729 190 539
2018-09-17 2020-03-23 2020-10-09 -0.4238 521 381 140
2011-07-08 2011-10-03 2013-01-22 -0.2860 387 61 326
2014-12-30 2016-01-20 2016-12-07 -0.2812 490 266 224
2007-07-20 2008-01-17 2008-06-05 -0.2412 222 126 96

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA -0.2 0.9 -0.4 0.3
2004 -2.9 -0.1 0.8 0.1 0 -1 -0.4 0.3 1.7 0.3 2.1 -0.2 0.5
2005 0.3 0.9 -0.7 0.9 0.6 0.6 0.4 -0.6 0.5 0.8 1.3 -1.2 3.9
2006 -1 1.9 0.5 0.1 1.8 0.7 -1.9 0.6 -0.3 -1.2 -0.3 -0.6 0.1
2007 1.7 -0.3 0.1 -0.2 0.6 -0.6 0.7 1.9 1.6 -2.5 1.9 -1.9 3
2008 1.3 -2.7 4.2 3.4 0.5 -1.7 -2.5 -0.6 -0.7 4.2 -8.8 2.8 -1.5
2009 -3.1 -1.2 1.7 0.1 4.3 0.7 0 -1.4 -2.4 -2.4 1.1 -1.7 -4.5
2010 1.7 0.5 0.2 -1.7 -2.4 0.4 0 3.9 -0.2 0 2.4 0.1 4.7
2011 2 -2.7 1.3 0.3 -3.3 2.3 -1 -1.5 -3.5 -2.6 -0.7 -0.4 -9.7
2012 0.6 1.3 -0.1 1 -3.2 2.8 -2 0.3 0 1.5 -0.5 1.6 3.1
2013 0.9 -0.1 -1.5 -2.3 -0.9 1.2 3.2 -1.1 1.4 1 -0.3 0.6 2
2014 -0.3 0.3 0.9 0.7 0 0.8 -0.2 0 -2.5 1.4 -2.7 -0.6 -2.3
2015 -2.4 -0.7 -0.8 1.6 1.1 0.2 -0.2 -2.2 0.7 -0.1 1.2 -0.4 -2
2016 0.9 2.2 -0.7 -1.2 -0.2 1 -0.4 0.6 1.2 -0.6 0.6 -0.4 2.8
2017 -0.2 1.9 -0.4 -0.3 1.3 0.8 -0.4 0.4 0.3 0.3 -0.8 -0.4 2.4
2018 -0.6 -0.4 2 -0.3 1.3 0.4 -0.9 -0.1 0.3 1.8 1.3 0.7 5.8
2019 0.7 0 2.2 -1.7 -1.9 0.5 -2.6 0.2 -2.3 2.1 -0.7 0.2 -3.3
2020 -2.5 -1.2 -4.8 -3.4 -0.1 -0.3 1 1.2 -0.2 -0.7 0.5 0.2 -9.9
2021 1.4 2.1 0.2 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-10-10  50.8 SPY    105.  0.0028   0.0114   0.0226   0.0381    0.297   -0.272       NA <NA>     NA    NA       NA
2 2003-10-13  51.6 SPY    105.  0.0032   0.01     0.0239   0.0437    0.246   -0.272       NA <NA>     NA    NA       NA
3 2003-10-14  51.8 SPY    105.  0.0035   0.0097   0.0311   0.0535    0.244   -0.254       NA <NA>     NA    NA       NA
4 2003-10-15  51.4 SPY    105. -0.0027   0.0095   0.0136   0.0659    0.184   -0.250       NA <NA>     NA    NA       NA
5 2003-10-16  51.6 SPY    105.  0.004    0.0108   0.0196   0.0593    0.218   -0.234       NA <NA>     NA    NA       NA
6 2003-10-17  51.4 SPY    104. -0.0109  -0.003   -0.0033   0.0608    0.181   -0.236       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart